Where is Princess Alexi?

Princess Alexi is missing, and the borders of the kingdom have been shut until she is found.Joe and Jazz meet out in the forest. Joe is running from something, and Jazz wandered through a fog and got lost. As they traverse the kingdom, they meet many strange characters and become involved in the search for Princess Alexi. Meanwhile, her sister, Princess Caitlyn, may be less worried than she is letting on. Where is Princess Alexi?